Hierarchy
EA-FINSERV (Software Component) SAP Enterprise Extension Financial Services⤷
IS-B-RA (Application Component) Risk Analysis⤷
JBR (Package) Application development IS-B Risk Mangement
Basic Data
| Data Element | JBRVAR |
| Short Description | Value at Risk (Amount Only) |
Data Type
| Category of Dictionary Type | D | Domain |
| Type of Object Referenced | No Information | |
| Domain / Name of Reference Type | WERTV9 | |
| Data Type | CURR | Currency field, stored as DEC |
| Length | 17 | |
| Decimal Places | 2 | |
| Output Length | 23 | |
| Value Table |
Further Characteristics
| Search Help: Name | ||
| Search Help: Parameters | ||
| Parameter ID | ||
| Default Component name | ||
| Change document | ||
| No Input History | ||
| Basic direction is set to LTR | ||
| No BIDI Filtering |
Field Label
| Length | Field Label | |
| Short | 10 | VaR |
| Medium | 20 | Value at Risk |
| Long | 40 | Value at Risk |
| Heading | 23 | Value at Risk |
Documentation
Definition
The value at risk expresses the maximum loss which, based on a certain probability or confidence level, is likely to be incurred on a portfolio of financial transactions over the next n days. In the historic simulation procedure, the value at risk is calculated by projecting historic risk factor changes into the future. The risk factor changes from the past, seen over a period of n days (a certain retention period) in each case, are applied to the current market parameters. The NPVs resulting from the new market parameters, are compared with the NPVs of the current market parameters. The value at risk at a certain confidence level is then calculated from the profits and losses using various VaR methods:
1) the (equally probable) profits and losses are "counted off" in accordance with the confidence level.
2+4) the profits and losses are seen as absolute values and "counted off" in accordance with the confidence level, with half the probability.
3) normal distribution is assumed for the profits and losses. The value at risk is then the product of the standard variance and the confidence factor (which is derived from the confidence level).
History
| Last changed by/on | SAP | 20011002 |
| SAP Release Created in |
